On the High-Frequency Dynamics of Hedge Fund Risk Exposures

Material TypeArticleLanguageEnglish
TitleOn the High-Frequency Dynamics of Hedge Fund Risk Exposures Author(S)ANDREW J PATTON (Author)
Abstract  We propose a new method to model hedge fund risk exposures using relatively high-frequency conditioning variables. In a large sample of funds, we find substantial evidence that hedge fund risk exposures vary across and within months, ...Paginationp597-636
SubjectEconomicsDescriptorsFinance Economics
Journal TitleThe Journal of Finance  
Permanent Linksclick here